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Some properties of modified integrated squared error estimators for the stable laws

 

作者: A. S. Paulson,   T. A. Delehanty,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1984)
卷期: Volume 13, issue 3  

页码: 337-365

 

ISSN:0361-0918

 

年代: 1984

 

DOI:10.1080/03610918408812380

 

出版商: Marcel Dekker, Inc.

 

关键词: stable laws;Fourier estimation;empirical characteristic function;efficiency;robustness

 

数据来源: Taylor

 

摘要:

The estimation procedure of Paulson, Holcomb and Leitch (1975) for the parameters of the stable laws is shown to be similar in spirit to the modified X2minimum procedure. This observation suggests that a class of modified integrated squared error procedures may be developed for the stable laws as well as much more generally. For the stable case, some influence curves, asymptotic covariances, and efficiencies are given, and the robustness of maximum likelihood estimators is discussed.

 

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